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arXiv · 1306.1378

CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix

Bin Li·Dingjiang Huang·Steven C. H. Hoi
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Abstract

This appendix proves CORN's universal consistency. One of Bin's PhD thesis examiner (Special thanks to Vladimir Vovk from Royal Holloway, University of London) suggested that CORN is universal and provided sketch proof of Lemma 1.6, which is the key of this proof. Based on the proof in Gyprfi et al. [2006], we thus prove CORN's universal consistency. Note that the notations in this appendix follows Györfi et al. [2006].

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Bin Li, Dingjiang Huang, Steven C. H. Hoi. 2013-06-06. CORN: Correlation-Driven Nonparametric Learning Approach for Portfolio Selection -- an Online Appendix. https://arxiv.org/abs/1306.1378

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